PRICE TRANSMISSION IN WORLD DRIED APRICOT MARKET

Yıl 2017, Cilt: 22 Sayı: 3, 903 - 913, 30.07.2017

Onur Demirel Kübra Önder Selim Adem Hatırlı

Öz

Turkey is the leading country in dried apricot production and export in the world. In the study, by utilizing monthly data for the period 2006 – 2015 the price transmission in world dried apricot is estimated with Generalised Autoregressive Conditional Heteroscedasticity (GARCH) model. According to the model estimation results, all the variables included in the model, namely export price of Turkish dried apricot, real effective exchange rate index and exchange rate volatility, stock exchange quotation of Turkish dried apricot and its one month lagged value, and one month lagged world dried apricot price, are found to be statistically significant. The main findings of the study are that, the values of short term elasticities are lower than the values of long term elasticities; the values of elasticities are in between zero and one; in other terms the price transmission in world dried apricot market is incomplete.

Anahtar Kelimeler

Dried apricot, Price transmission, eneralised Autoregressive Conditional Heteroscedasticity (GARCH) model

DÜNYA KURU KAYISI PİYASASINDA FİYAT GEÇİRGENLİĞİ

Öz

Türkiye kuru kayısı üretimi ve ihracatında dünyada lider ülke konumundadır. Bu çalışmada, 2006- 2015 dönemi aylık verileri kullanılarak dünya kuru kayısı fiyatlarındaki geçirgenlik, Genelleştirilmiş Otoregressif Koşullu Değişken Varyans (GARCH) modeli ile tahmin edilmiştir. Model tahmin sonuçlarına göre modele dahil edilen; Türkiye kuru kayısı ihracat fiyatı, reel efektif döviz kuru indeksi ile döviz kuru dalgalanması, Türkiye kuru kayısı borsa fiyatı ile bir aylık gecikmeli değeri ve dünya kuru kayısı fiyatının bir aylık gecikmeli değişkenlerinin tamamı istatistiksel olarak anlamlı bulunmuştur. Araştırmanın başlıca temel bulguları; kısa dönem esneklik değerlerinin uzun dönem esneklik değerlerinden daha düşük olduğu; esneklik değerlerinin sıfır ile bir arasında değerler aldığı; diğer bir ifade ile dünya kuru kayısı piyasasında fiyat geçirgenliğinin tam olmadığıdır.

Anahtar Kelimeler

Kuru kayısı, Fiyat geçirgenliği, Genelleştirilmiş Otoregressif Koşullu Değişken Varyans (GARCH) modeli

Kaynakça

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